Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0158 |
| Annualized Std Dev | 0.2584 |
| Annualized Sharpe (Rf=0%) | 0.0613 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4274.0000 |
| NAs | 1.0000 |
| Minimum | -0.1966 |
| Quartile 1 | -0.0052 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0066 |
| Maximum | 0.2076 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0163 |
| Skewness | -0.5124 |
| Kurtosis | 28.4502 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0120 |
| Gain Deviation | 0.0121 |
| Loss Deviation | 0.0146 |
| Downside Deviation (MAR=210%) | 0.0162 |
| Downside Deviation (Rf=0%) | 0.0120 |
| Downside Deviation (0%) | 0.0120 |
| Maximum Drawdown | 0.7673 |
| Historical VaR (95%) | -0.0207 |
| Historical ES (95%) | -0.0402 |
| Modified VaR (95%) | -0.0195 |
| Modified ES (95%) | -0.0195 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-09 | NA | -0.7673 | 3342 | 312 | NA |
| 2004-04-08 | 2004-06-22 | 2005-03-04 | -0.1920 | 228 | 51 | 177 |
| 2007-05-22 | 2007-08-16 | 2007-12-04 | -0.1902 | 137 | 61 | 76 |
| 2005-09-08 | 2005-10-20 | 2006-08-29 | -0.1400 | 246 | 31 | 215 |
| 2005-03-10 | 2005-03-28 | 2005-06-02 | -0.0754 | 59 | 12 | 47 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | 0 | 0 | 1.8 | 1.3 | 2.2 | 2.5 | 1.1 | 1.1 | -0.3 | 0.9 | 11 |
| 2005 | 1 | 0.8 | 1 | 0.6 | 0.8 | 1.6 | -0.4 | 1.9 | 0.5 | -1.6 | 0.9 | 0.2 | 7.7 |
| 2006 | 0.3 | 0.1 | 0.5 | -0.4 | 1.3 | 0.2 | 1 | 0.2 | -0.5 | 0.5 | 0.2 | 0.2 | 3.7 |
| 2007 | 1.2 | 0.2 | -0.1 | 0.8 | -0.7 | -0.2 | 1.8 | 1.7 | 1.4 | -1.3 | 2.3 | -0.7 | 6.4 |
| 2008 | 2.8 | -2.7 | 2.8 | 2.2 | 0.9 | 0.9 | -1.6 | -0.4 | 2.4 | 3.9 | -7.1 | 1.5 | 5.2 |
| 2009 | -2.8 | -0.3 | 3.5 | 2.1 | 3 | 0.9 | 0.8 | -2.3 | -1.8 | -0.9 | 2.6 | 0.1 | 4.7 |
| 2010 | 0.8 | 2.2 | 0.9 | -0.3 | -0.2 | 1 | 0.6 | 3 | 0.8 | 0.2 | 1.1 | 1.3 | 11.9 |
| 2011 | 2 | -0.8 | 1.2 | 0.3 | -1.6 | 1.3 | 0.4 | 0.8 | -0.8 | -2.8 | 1.3 | 0 | 1.3 |
| 2012 | 1.4 | 1.7 | 1.9 | 1 | -1.8 | 3.5 | 0.2 | 0.9 | 1.2 | 2.9 | 0.6 | 3.1 | 17.8 |
| 2013 | -0.2 | 0.3 | -0.5 | -0.4 | -2.7 | 0.9 | 0 | 0.7 | 0.6 | 0.3 | 0 | 1.7 | 0.7 |
| 2014 | 0 | 1 | 1 | 0.6 | 0.5 | 1.2 | -0.4 | 0.2 | 1.9 | 0.7 | -1.6 | -0.7 | 4.6 |
| 2015 | -1 | 0 | 0.7 | 0 | 0.3 | 1 | 0.5 | -2.2 | -0.6 | 1.5 | 0.8 | 0.9 | 1.8 |
| 2016 | 2.5 | 0.8 | 0.6 | 0.2 | 0.3 | 1.4 | -0.9 | -0.7 | 0.8 | -1 | 0.4 | -0.1 | 4.3 |
| 2017 | -0.3 | 1 | 0.4 | -0.2 | 0.6 | 0.7 | 0.3 | 0 | 0.3 | -0.8 | 0.7 | 2.4 | 5.2 |
| 2018 | -0.4 | -1.1 | 0.7 | 0 | 0.2 | 1 | 0.3 | 0.1 | 2.1 | 0.3 | 0.6 | 0.6 | 4.4 |
| 2019 | 0.9 | 0.7 | 0.3 | 0.2 | -1.2 | -0.1 | -0.2 | 0.6 | -1.4 | 0.9 | 0.8 | 1.1 | 2.6 |
| 2020 | -0.6 | -4.8 | -11.1 | -3.6 | 2.8 | 2.3 | -0.2 | -0.3 | 0.9 | 0.8 | -1.2 | 0.2 | -14.6 |
| 2021 | 0 | 3.5 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-03-26 20.0 SPY 111. 3.00e-4 -3.00e-4 -0.034 0.0129 0.274 -0.011 -0.120 <NA> NA NA NA
2 2004-03-29 20.0 SPY 113. 1.41e-2 2.68e-2 -0.0211 0.0263 0.298 0.0132 -0.113 <NA> NA NA NA
3 2004-03-30 20 SPY 113. 3.40e-3 3.21e-2 -0.0275 0.0163 0.333 -0.0132 -0.128 <NA> NA NA NA
4 2004-03-31 20.0 SPY 113. 1.20e-3 3.24e-2 -0.0206 0.0173 0.314 -0.0245 -0.120 <NA> NA NA NA
5 2004-04-01 20.0 SPY 114. 6.00e-3 2.50e-2 -0.0165 0.0225 0.291 -0.0383 -0.132 <NA> NA NA NA
6 2004-04-02 20.0 SPY 115. 7.60e-3 3.25e-2 -0.0116 0.0307 0.307 -0.0035 -0.121 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
